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Are day traders bias free?—evidence from internet stock message boards

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  • Ying Zhang
  • Peggy Swanson

Abstract

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Suggested Citation

  • Ying Zhang & Peggy Swanson, 2010. "Are day traders bias free?—evidence from internet stock message boards," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 34(1), pages 96-112, January.
  • Handle: RePEc:spr:jecfin:v:34:y:2010:i:1:p:96-112
    DOI: 10.1007/s12197-008-9063-1
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    References listed on IDEAS

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    1. Sanjiv R. Das & Mike Y. Chen, 2007. "Yahoo! for Amazon: Sentiment Extraction from Small Talk on the Web," Management Science, INFORMS, vol. 53(9), pages 1375-1388, September.
    2. Willard T. Carleton & Carl R. Chen & Thomas I. Steiner, 1998. "Optimism Biases among Brokerage and Non-Brokerage Firms' Equity Recommendations: Agency Costs in the Investment Industry," Financial Management, Financial Management Association, vol. 27(1), Spring.
    3. Glaser, Markus, 2003. "Online broker investors : demographic information, investment strategy, portfolio positions, and trading activity," Papers 03-18, Sonderforschungsbreich 504.
    4. Glaser, Markus, 2003. "Online Broker Investors: Demographic Information, Investment Strategy, Portfolio Positions, and Trading Activity," Sonderforschungsbereich 504 Publications 03-18, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim.
    5. Peter M. DeMarzo & Dimitri Vayanos & Jeffrey Zwiebel, 2003. "Persuasion Bias, Social Influence, and Unidimensional Opinions," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 118(3), pages 909-968.
    6. Michaely, Roni & Womack, Kent L, 1999. "Conflict of Interest and the Credibility of Underwriter Analyst Recommendations," The Review of Financial Studies, Society for Financial Studies, vol. 12(4), pages 653-686.
    7. Shefrin, Hersh & Statman, Meir, 1985. "The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence," Journal of Finance, American Finance Association, vol. 40(3), pages 777-790, July.
    8. Brad M. Barber & Terrance Odean, 2001. "The Internet and the Investor," Journal of Economic Perspectives, American Economic Association, vol. 15(1), pages 41-54, Winter.
    9. repec:bla:jfinan:v:59:y:2004:i:3:p:1259-1294 is not listed on IDEAS
    10. repec:bla:jfinan:v:59:y:2004:i:3:p:1083-1124 is not listed on IDEAS
    11. Brad Barber & Reuven Lehavy & Maureen McNichols & Brett Trueman, 2001. "Can Investors Profit from the Prophets? Security Analyst Recommendations and Stock Returns," Journal of Finance, American Finance Association, vol. 56(2), pages 531-563, April.
    12. Terrance Odean, 1999. "Do Investors Trade Too Much?," American Economic Review, American Economic Association, vol. 89(5), pages 1279-1298, December.
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    Citations

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    Cited by:

    1. Tsukioka, Yasutomo & Yanagi, Junya & Takada, Teruko, 2018. "Investor sentiment extracted from internet stock message boards and IPO puzzles," International Review of Economics & Finance, Elsevier, vol. 56(C), pages 205-217.
    2. Junni L. Zhang & Wolfgang Karl Hardle & Cathy Y. Chen & Elisabeth Bommes, 2020. "Distillation of News Flow into Analysis of Stock Reactions," Papers 2009.10392, arXiv.org.
    3. Yun Liu & Dengshi Huang & Jianan Zhou & Sirui Wang, 2024. "Does image sentiment of major public emergency affect the stock market performance? New insight from deep learning techniques," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 64(4), pages 4447-4472, December.
    4. Agarwal, Shweta & Kumar, Shailendra & Goel, Utkarsh, 2019. "Stock market response to information diffusion through internet sources: A literature review," International Journal of Information Management, Elsevier, vol. 45(C), pages 118-131.
    5. Qing Liu & Hosung Son, 2024. "Methods for aggregating investor sentiment from social media," Palgrave Communications, Palgrave Macmillan, vol. 11(1), pages 1-22, December.
    6. Chu, Gang & Dowling, Michael & Shen, Dehua & Zhang, Yongjie, 2023. "Information demand density matters: Evidence from the post-earnings announcement drift," International Review of Financial Analysis, Elsevier, vol. 86(C).
    7. Kiran Thapa, 2013. "Stock Message Board Recommendations and Share Trading Activity," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2013, January-A.
    8. Leung, Henry & Ton, Thai, 2015. "The impact of internet stock message boards on cross-sectional returns of small-capitalization stocks," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 37-55.
    9. Bommes, Elisabeth & Chen, Cathy Yi-Hsuan & Härdle, Wolfgang Karl, 2018. "Textual Sentiment and Sector specific reaction," IRTG 1792 Discussion Papers 2018-043, Humboldt University of Berlin, International Research Training Group 1792 "High Dimensional Nonstationary Time Series".
    10. Ellie Birbeck & Dave Cliff, 2018. "Using Stock Prices as Ground Truth in Sentiment Analysis to Generate Profitable Trading Signals," Papers 1811.02886, arXiv.org.
    11. Chih-Hsiang Chang, 2017. "Exploring stock recommenders’ behavior and recommendation receivers’ sophistication," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 41(1), pages 1-26, January.
    12. repec:hum:wpaper:sfb649dp2015-005 is not listed on IDEAS
    13. Mariano González-Sánchez & M. Encina Morales de Vega, 2021. "Influence of Bloomberg’s Investor Sentiment Index: Evidence from European Union Financial Sector," Mathematics, MDPI, vol. 9(4), pages 1-21, February.
    14. Minjian Ye & Guangzhong Li, 2017. "Internet big data and capital markets: a literature review," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 3(1), pages 1-18, December.
    15. Bowden, James & Gemayel, Roland, 2022. "Sentiment and trading decisions in an ambiguous environment: A study on cryptocurrency traders," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    16. Timm O. Sprenger & Andranik Tumasjan & Philipp G. Sandner & Isabell M. Welpe, 2014. "Tweets and Trades: the Information Content of Stock Microblogs," European Financial Management, European Financial Management Association, vol. 20(5), pages 926-957, November.
    17. Zhang, Junni L. & Härdle, Wolfgang Karl & Chen, Cathy Y. & Bommes, Elisabeth, 2015. "Distillation of news flow into analysis of stock reactions," SFB 649 Discussion Papers 2015-005, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.

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    More about this item

    Keywords

    Internet Stock Message Boards; Retail Investor Sentiment; Sentiment Bias; Day Traders; Text Classifiers; G11; G12;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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